Consider a stock currently (S₀) priced at SAR 80. One period later it can go up(u) by 25% or go down(d) by 20%. The risk-free rate is 7 percent. Calculate the current/theoretical value of the European call option if the exercise/strike price is SAR 80?

Answer rating: 100% (QA)

To calculate the currenttheoretical value of the European call option we can use the binomial option ... View the full answer